Results 71 to 80 of about 985,955 (228)
Pricing variance swaps in a hybrid model of stochastic volatility and interest rate with regime-switching [PDF]
arXiv, 2016 In this paper, we consider the problem of pricing discretely-sampled variance swaps based on a hybrid model of stochastic volatility and stochastic interest rate with regime-switching. Our modelling framework extends the Heston stochastic volatility model by including the CIR stochastic interest rate and model parameters that switch according to a ...
arxiv
Credit Default Swaps and the mixed-fractional CEV model [PDF]
arXiv, 2022 This paper explores the capabilities of the Constant Elasticity of Variance model driven by a mixed-fractional Brownian motion (mfCEV) [Axel A. Araneda. The fractional and mixed-fractional CEV model. Journal of Computational and Applied Mathematics, 363:106-123, 2020] to address default-related financial problems, particularly the pricing of Credit ...
arxiv
A model-free no-arbitrage price bound for variance options [PDF]
, 2013 International audienceIn the framework of Galichon, Henry-Labordère and Touzi, we consider the model-free no-arbitrage bound of variance option given the marginal distributions of the underlying asset. We first make some approximations which restrict the
Bonnans, J. Frederic, Tan, Xiaolu
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A Closed Form Solution for Pricing Variance Swaps Under the Rescaled Double Heston Model [PDF]
, 2021 Youngin Yoon, Jeong‐Hoon Kim
openalex +1 more source
, 2014 We explore whether the market variance risk premium (VRP) can be predicted. We measure VRP by distinguishing the investment horizon from the variance swap’s maturity.
E. Konstantinidi, G. Skiadopoulos
semanticscholar +1 more source
Closed-form pricing formulas for variance swaps in the Heston model with stochastic long-run mean of variance [PDF]
, 2022 Youngin Yoon +2 more
openalex +1 more source
We propose a direct and robust method for quantifying the variance risk premium on financial assets. We theoretically and numerically show that the risk-neutral expected value of the return variance, also known as the variance swap rate, is well ...
Liuren Wu, Peter Carr
core
World Income Components: Measuring and Exploiting International Risk Sharing Opportunities [PDF]
, 1995 We provide a method for decomposing the variance of world national income (present values) into components in such a way as to indicate the most important risk-sharing opportunities among nations of the world.
Athanasoulis, Stefano +1 more
core +3 more sources
A Proposal for Multi-asset Generalised Variance Swaps [PDF]
arXiv, 2019 This paper proposes swaps on two important new measures of generalized variance, namely the maximum eigen-value and trace of the covariance matrix of the assets involved. We price these generalized variance swaps for financial markets with Markov-modulated volatilities.
arxiv
Variance Risk Premiums and Predictive Power of Alternative Forward Variances in the Corn Market [PDF]
We propose a fear index for corn using the variance swap rate synthesized from out-of-the-money call and put options as a measure of implied variance. Previous studies estimate implied variance based on Black (1976) model or forecast variance using the ...
Bashir A. Qasmi +2 more
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